This paper analyzes the “surprise effect” of some macroeconomic indicators on the US and Germany stock indexes options implied volatility, by means of a VAR model and IRFs between the two volatility indexes. Results show a significant influence of some specific macroeconomic “surprise effects” so that the US volatility has a positive influence on the German one, but not viceversa. With reference to the first considered period, January 2008-May 2012, characterized by higher volatility, the German market analysis shows a direct link between the “surprise effect” of the IFO Business Climate Index and the VDAX NEW index changes. As regard the second time period (June 2012-December 2014), characterized by lower volatility, the significant macro “surprise effects” are related to the industrial sector (US Retail Sales, German Producer Price) and the job market (US Non-Farm Payroll). These results on the linkages between the macro “surprise effects” and the volatility indexes can be useful for implementing more effective short-term speculative and hedging strategies, based on the “surprise effect” direction and his link with the volatility index.
Patane', M., Tedesco, M., Zedda, S. (2017). The "Surprise Effect" of Macro Indicators on the Options Implied Volatilities Dynamics: A Test on the United States-Germany Relationship. MODERN ECONOMY, 8(4), 590-603 [10.4236/me.2017.84044].
The "Surprise Effect" of Macro Indicators on the Options Implied Volatilities Dynamics: A Test on the United States-Germany Relationship
PATANE', MICHELE;
2017-01-01
Abstract
This paper analyzes the “surprise effect” of some macroeconomic indicators on the US and Germany stock indexes options implied volatility, by means of a VAR model and IRFs between the two volatility indexes. Results show a significant influence of some specific macroeconomic “surprise effects” so that the US volatility has a positive influence on the German one, but not viceversa. With reference to the first considered period, January 2008-May 2012, characterized by higher volatility, the German market analysis shows a direct link between the “surprise effect” of the IFO Business Climate Index and the VDAX NEW index changes. As regard the second time period (June 2012-December 2014), characterized by lower volatility, the significant macro “surprise effects” are related to the industrial sector (US Retail Sales, German Producer Price) and the job market (US Non-Farm Payroll). These results on the linkages between the macro “surprise effects” and the volatility indexes can be useful for implementing more effective short-term speculative and hedging strategies, based on the “surprise effect” direction and his link with the volatility index.File | Dimensione | Formato | |
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https://hdl.handle.net/11365/1009808